I’m getting the same issue. I installed this plugin on one site and it worked perfectly (created file at /sitemap.xml). On the next site I installed it on, it created the sitemap at:
https://{domain.name}/index.php?xml_sitemap=params=
Working site: WordPress 4.0 running custom theme.
Not working site: WordPress 4.0 running Hemingway theme.
Both are hosted on the same server: Ubuntu 14.04, Apache 2.4.7, php5.5.9, mysql 5.5.38
